Related papers: Multi-outcome and Multidimensional Market Scoring …
In many areas of industry and society, e.g., energy, healthcare, logistics, agents collect vast amounts of data that they deem proprietary. These data owners extract predictive information of varying quality and relevance from data…
Fisher markets are those where buyers with budgets compete for scarce items, a natural model for many real world markets including online advertising. A market equilibrium is a set of prices and allocations of items such that supply meets…
Scoring rules for eliciting expert predictions of random variables are usually developed assuming that experts derive utility only from the quality of their predictions (e.g., score awarded by the rule, or payoff in a prediction market). We…
The research identifies association rules that can inform marketing strategies and enhance operational efficiency. A structured methodology is applied to extract and interpret meaningful relationships within transactional data, emphasizing…
In this paper we complete and extend our previous work on stochastic control applied to high frequency market-making with inventory constraints and directional bets. Our new model admits several state variables (e.g. market spread,…
We study a seller who sells a single good to multiple bidders with uncertainty over the joint distribution of bidders' valuations, as well as bidders' higher-order beliefs about their opponents. The seller only knows the (possibly…
Two-sided matching markets have long existed to pair agents in the absence of regulated exchanges. A common example is school choice, where a matching mechanism uses student and school preferences to assign students to schools. In such…
We present a synthetic prediction market whose agent purchase logic is defined using a sigmoid transformation of a convex semi-algebraic set defined in feature space. Asset prices are determined by a logarithmic scoring market rule. Time…
We analyze a model of selling a single object to a principal-agent pair who want to acquire the object for a firm. The principal and the agent have different assessments of the object's value to the firm. The agent is budget-constrained…
Building on ideas from online convex optimization, we propose a general framework for the design of efficient securities markets over very large outcome spaces. The challenge here is computational. In a complete market, in which one…
We present a simple model of a non-equilibrium self-organizing market where asset prices are partially driven by investment decisions of a bounded-rational agent. The agent acts in a stochastic market environment driven by various exogenous…
We study the power of price discrimination via an intermediary in bilateral trade, when there is a revenue-maximizing seller selling an item to a buyer with a private value drawn from a prior. Between the seller and the buyer, there is an…
Automated market makers, first popularized by Hanson's logarithmic market scoring rule (or LMSR) for prediction markets, have become important building blocks, called 'primitives,' for decentralized finance. A particularly useful primitive…
Matching markets are of particular interest in computer science and economics literature as they are often used to model real-world phenomena where we aim to equitably distribute a limited amount of resources to multiple agents and…
I introduce a model of predictive scoring. A receiver wants to predict a sender's quality. An intermediary observes multiple features of the sender and aggregates them into a score. Based on the score, the receiver makes a decision. The…
We propose a macroscopic market making model \`a la Avellaneda-Stoikov, using continuous processes for orders instead of discrete point processes. The model intends to bridge the gap between market making and optimal execution problems,…
Generalization of the minority game to more than one market is considered. At each time step every agent chooses one of its strategies and acts on the market related to this strategy. If the payoff function allows for strong fluctuation of…
The author seeks to develop a model to alter the bid-offer spread, currently quoted by market makers, that varies with the market and trading conditions. The dynamic nature of financial markets and trading, as with the rest of social…
This work considers a stochastic model in which the uncertainty is driven by a multidimensional Brownian motion. The market price of risk process makes the transition between real world probability measure and risk neutral probability…
We study overpricing in a repeated game between two representative agents: a market maker, who controls market liquidity, and a market taker, who chooses trade quantities. Market prices evolve through the endogenous price impact of trades…